A Portfolio Has 50% of Its Funds Invested in Security

Multiple Choice

A portfolio has 50% of its funds invested in Security One and 50% of its funds invested in Security Two.Security One has a standard deviation of 6%.Security Two has a standard deviation of 12%.The securities have a coefficient of correlation of 0.5.Which of the following values is closest to portfolio variance?

A) .0027
B) .0063
C) .0095
D) .0104
E) One must have covariance to calculate expected value.